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LONG AND SHORT-RUN LINKAGES IN CEE STOCK MARKETS: IMPLICATIONS FOR PORTFOLIO DIVERSIFICATION AND STOCK MARKET INTEGRATION
Syllignakis, Manolis; Kouretas, Georgios - William Davidson Institute, University of Michigan - 2006
markets in the central Europe (Czech Republic, Hungary, Poland, Slovenia and Slovakia) together with the German and the US … (except for the Czech Republic, Hungary, Poland) they returned almost to their initial (relatively low) levels. Moreover …, significantly increased volatility is observed during the Russian crisis period for all the markets under enquiry. …
Persistent link: https://www.econbiz.de/10005677583
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The impact of structural breaks on the integration of the ASEAN-5 stock markets
Chen, Cathy W.S.; Gerlach, Richard; Cheng, Nick Y.P.; … - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 8, pp. 2654-2664
This paper examines the ASEAN-5 countries and explores the impact of structural breaks on the level of financial integration in that region. An extended cointegration procedure allowing for three types of structural break, is employed and compared with the standard Johansen procedure, for daily...
Persistent link: https://www.econbiz.de/10010869876
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Has 1997 Asian Crisis increased Information Flows between International Markets?
Climent, Francisco J.; Meneu, Vicente - Asociación Española de Economía y Finanzas … - 2001
The Asian crisis started on July 2, 1997 and caused turmoil in developed as well as emerging international stock markets. The objective of this paper is to analyse the movements and dynamic relationships among stock markets, together with their implications for information flows. We use the...
Persistent link: https://www.econbiz.de/10008493820
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The impact of oil price shocks on the large emerging countries' stock prices: Evidence from China, India and Russia
Fang, Chung-Rou; You, Shih-Yi - In: International Review of Economics & Finance 29 (2014) C, pp. 330-338
Although a lot of empirical research has studied the relationship between changes in oil prices and economic activity, it is surprising that little research has been conducted on the relationship between oil price shocks and the large Newly Industrialized Economies (NIEs). Therefore, this paper...
Persistent link: https://www.econbiz.de/10011048270
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Financial Liberalization and Emerging Stock Market Volatility
Gracia, F. Pérez de; Cuñado, J.; Gómez, J. - Society for Computational Economics - SCE - 2004
In this paper we test whether volatility in six emerging markets has changed significantly over the period 1976 … the behavior of the sotck market volatility changed. The analysis suggests that volatility has behaved in a di …
Persistent link: https://www.econbiz.de/10005706556
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Return relationships among European equity sectors: A comparative analysis across selected sectors in small and large economies.
Taing, Siv; Worthington, Andrew - In: Journal of Applied Economics VIII (2005) November, pp. 371-388
This paper examines return interrelationships between numbers of equity sectors across several European markets. The markets comprise six Member States of the European Union (EU): namely, Belgium, Finland, France, Germany, Ireland and Italy. The five sectors include the consumer discretionary,...
Persistent link: https://www.econbiz.de/10005627083
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Integration versus segmentation in Middle East North Africa equity market: Time variations and currency risk
Guesmi, Khaled; Moisseron, Jean-Yves; Teulon, Frédéric - Institut de Préparation à l'Administration et à la … - 2014
volatility, rate spread variations, Short-term interest rate and world market dividend yield. …
Persistent link: https://www.econbiz.de/10010860502
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Equity Risk Premium and Regional Integration
Arouri, Mohamed El Hedi; Teulon, Frédéric; Rault, … - CESifo - 2013
This article contributes to the literature on stock market integration by developing and estimating a capital asset pricing model with segmentation effects in order to assess stock market segmentation and its effects on risk premia at the regional level. We show that the estimated degrees of...
Persistent link: https://www.econbiz.de/10010877634
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Market Structure and the Cost of Capital
Arouri, Mohamed El Hedi; Rault, Christophe; Sova, Robert; … - CESifo - 2013
partially segmented using the local or the global CAPM yields significant errors in the estimation of the cost of capital for a …
Persistent link: https://www.econbiz.de/10010877642
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Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Means Analysis
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - CESifo - 2014
-2013. The econometric analysis is based on the estimation of a VAR-GARCH-in-mean model. The results can be summarised as follows …. Positive (negative) news have significant positive (negative) effects on stock returns in all cases. Their volatility has a … significant impact on both stock returns and volatility; specifically, an increase in news volatility is always associated with a …
Persistent link: https://www.econbiz.de/10010877764